Portfolio Optimization Toolkit


Zheng Duan (Department of Economics, American University)


Download Here (avaliable file formats: MATLAB)


A portfolio optimizatiob toolbox. Includes:
  1. Traditional Portfolio Optimization
    1. Mean-variance
    2. Re-sampling
    3. Bayes-Stein
  2. Generalized Cross-entropy based Portfolio Optimization
    1. Use equal weights as prior
    2. Use min variance weights as prior
  3. Visualization
    1. Contour curves of entropy
    2. Shrinkage effect
    3. Performance Comparison
      1. Sharpe Ratio
    Entropy contours Entropy contours for different levels of risk and return
    shrinkage effects of minimizing cross-entropy shrinkage effects of minimizing cross-entropy